SSRNEconometrics & Forecasting
Relationship between the S&P 500 index and its constituents: A regime-switching copula approach and a model-free asymmetry test
The study reveals an asymmetric relationship between the returns of the S&P 500 index and its constituents during high market volatility, especially for stocks with lower dividends and higher return volatilities.
Featured in No. 48 on 8 May 2024 · 5 days after release · 0 citations today
- Released
- 3 May 2024
- First featured
- No. 48 · 8 May 2024
- Citations (Semantic Scholar)
- 0
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 4815835
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).